SSE Composite Index Prediction and Simulation System

Multiple Regression and Time—Lag Cointegration Model
Conference paper
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 214)

Abstract

Stock index forecasting is an important task in economic field; it is difficult to accurately predict index trends using the traditional prediction methods which are based on price and the quality. Studies on this field were described in this paper: historical data and the influence of macroeconomic factors to stock price, fits the mathematical models of the principal component of the multi-lag regression and Sequence Cointegration and stock index predicts; At the same time the author has done the system simulation, results show that the mathematical model is very efficient and practical.

Keywords

Multi-lag regression Timing cointegration Stock index forecasting Simulation system 

Notes

Acknowledgments

The paper is supported by the National Natural Science Foundation of China, No. 61074191.

References

  1. 1.
    Trippi D (1992) Trading equit index futures with a neural network. J Portfolio Manag 19:25–35Google Scholar
  2. 2.
    Zhu K, Li J (2005) Empirical analysis on China stock index fluctuation characteristic. Appl Stat Manag 24(3):104–126Google Scholar
  3. 3.
    Poon WPH, Fung HG (2000) Red chips or H shares:which China-Backed securities process information the fastest. J Multinatl Financial Manag 10(3–4):315–343Google Scholar
  4. 4.
    Johnson R, Soenen L (2002) Asian economic integration and stock market comvement. J Financial Res 25(1):141–157Google Scholar
  5. 5.
    Chen X, Wang S (1987) Modern regression analysis. Anhui Education Press, HefeiGoogle Scholar
  6. 6.
    Clements MP, Hendry DF (2008)Google Scholar
  7. 7.
    Tong G (2006) Econometrics. Press of WuHan University, Wuhan (in Chinese)Google Scholar
  8. 8.
    Wang R (2006). Random process. Xi’an Jiao Tong University Press, Xi’anGoogle Scholar
  9. 9.
    Guo Q, Xu X (2011) Computer simulation. National Defense Industry Press, Beijing, pp 24–45Google Scholar
  10. 10.
    George EPB, Gwilym MJ, Gregory CR (1997) Time series analysis forecasting and control, 3rd edn. China Statistics Press, Beijing (in Chinese)Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  1. 1.College of ScienceNaval University of EngineeringWuhanChina

Personalised recommendations